Only when engaged. If the relay is clicking, it's engaging with the switch. Did you test the starter solenoid, starter? Jump the starter? Forgot to add the descriptions page from the manual for you (see attached). Should be Blue/Black, Blue/White, Red wires to the relay. My guess is you have a bad starter/solenoid.
Maybe check out this video for some guidance:
2007-2012_Yamaha_Yfm400_Big_Bear_400_4x4_SM Descriptions.pdf